Browsing Working Papers by Subject "vector autoregressive process"

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Browsing Working Papers by Subject "vector autoregressive process"

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    Title: Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights  Author(s): LUETKEPOHL, Helmut Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic aggregates are timevarying, much of the literature on forecasting aggregates considers the case of linear ...
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    Title: A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Abstract. Different identification schemes for monetary policy shocks have been proposed in the literature. They typically specify just-identifying re- strictions in a standard structural vector autoregressive (SVAR) ...
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    Title: Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break  Author(s): TRENKLER, Carsten; SAIKKONEN, Pentti; LUETKEPOHL, Helmut Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift and broken linear trend is proposed. The break point is assumed to be known. The setup is a VAR process for cointegrated ...